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All plotting charts in 1 big figure by create_returns_tear_sheet

Open bergen288 opened this issue 4 years ago • 0 comments

Problem Description

All plotting charts in 1 big figure by create_returns_tear_sheet

Please provide a minimal, self-contained, and reproducible example:


from zipline import run_algorithm 
from zipline.api import order_target_percent, symbol, set_commission
from zipline.finance.commission import PerTrade
import pandas as pd
import pyfolio as pf

import warnings
warnings.filterwarnings('ignore')

def initialize(context): 
    context.stock = symbol('AAPL')
    context.rolling_window = 90
    set_commission(PerTrade(cost=5)) 


def handle_data(context, data): 
    price_hist = data.history(context.stock, "close", context.rolling_window, "1d")           
    order_target_percent(context.stock, 1.0 if price_hist[-1] > price_hist.mean() else 0.0) 

def analyze(context, perf): 
    returns, positions, transactions = pf.utils.extract_rets_pos_txn_from_zipline(perf) 
    pf.create_returns_tear_sheet(returns, benchmark_rets = None)
    
start_date = pd.to_datetime('2000-1-1', utc=True)
end_date = pd.to_datetime('2018-1-1', utc=True)
    
results = run_algorithm(start = start_date, end = end_date, initialize = initialize, analyze = analyze, handle_data = handle_data, capital_base = 10000, data_frequency = 'daily', bundle ='quandl')

Please provide the full traceback:

see attached 
![zipline_aapl_backtesting](https://user-images.githubusercontent.com/65607761/118376736-d6996b80-b597-11eb-9027-b1e6507975ba.png)

Please provide any additional information below:

Versions

  • Pyfolio version: 0.5.1
  • Python version: 3.6.5
  • Pandas version: 0.22.0
  • Matplotlib version: 3.1.1

bergen288 avatar May 15 '21 20:05 bergen288